Now i right-clicked on Project & selected Discovery -> Discoveries - > Discover Java Project. This was successful & it gave me a .xmi file.
But when i right-clicked on the xmi file & selected Discovery -> Discoveries -> Generate UML model from KDM model, this don't gave me the .uml file.

From what I understood, you managed to get a Java model out of your Java project using the first action you are mentioning.
Thus you first have to obtain a KDM model before being able to transform it into UML (thanks to the so-called "UML to KDM" action).
You must make a call, from your Java model, to the "Java to KDM" action.

Note that the "KDM to UML" feature may currently not work on some Java projects and corresponding models.
We are working on solving this bug and a fix will be integrated within the next MoDisco releases.

Yes,
I have generated the KDM file (my_program_kdm.xmi) and i've used the call "Discover UML model from KDM model..." but it don't create the corresponding UML in my project (the SERIALIZE_TARGET parameter is true).

So it seems that, in your case, the bug I've mentioned is occurring.
We are working on in integrating the fix as soon as possible to the MoDisco releases.
In the meantime, you can get the source of the corresponding plugin and apply the provided patch manually (cf. Bug #376144).

MoDisco is generating the actual UML model (i.e. the ".uml" file when serialized).
The diagramming (displaying) part has to be produced afterwards from this model using the appropriate UML graphical tooling (manually or automatically).

If I remember well, Papyrus as a feature allowing to directly initiate such a diagram from the UML model. Then, you can use an automated layout feature to obtain something readable (and modify it if needed).

"Then, you can use an automated layout feature to obtain something readable"
i tested it, but in my opinion automation is far from reality. i have to DnD every class i want to view inside the view. not very user friendly.
sometimes the autoarrange overlaps, too.
so results are not very good.
do you have any other experience? any hints and tricks to create better diagrams?

At some point there was a feature in Papyrus allowing to automatically populate a diagram from a model, but maybe this feature has evolved.
Anyway, the process I was mentioning was just a simple way to initiate automatically an UML diagram.
The automated layout of diagrams is a very general problem (not only concerning Model Driven Reverse Engineering) and is not something that we currently intent to address in MoDisco.
I encourage you to post related questions onto the Papyrus forum for instance.